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アイテム
Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity
http://hdl.handle.net/2261/32440
http://hdl.handle.net/2261/3244074c02098-3d51-42cf-a611-0dcb6a8cabd2
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Identifying Shocks in Regionally Integrated East Asian Economies with Structural VAR and Block Exogeneity | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Structural vector autoregression | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Block exogeneity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Monetary union | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | External shocks | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | East Asia | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL classifications: F33, F36, F41. | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Sato, Kiyotaka
× Sato, Kiyotaka× Zhang, Zhaoyong× McAleer, Michael |
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| 著者所属 | ||||||
| 著者所属 | Faculty of Economics Yokohama National University | |||||
| 著者所属 | ||||||
| 著者所属 | School of Accounting, Finance and Economics Edith Cowan University | |||||
| 著者所属 | ||||||
| 著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In this paper we use a structural VAR model with block exogeneity to investigate if external shocks originating from the USA played a dominant role in influencing the macroeconomic fluctuations in East Asia during the period 1978-2007. The empirical results show a dynamic effect of external shocks, implying that, even though regional integration appears to be deepening and accelerating, especially after the recent global financial crisis, the influence of US shocks on real output fluctuations in the East Asian region is still very strong. The effects of Chinese shocks show an increasing trend over time, but the impacts are still small and not comparable with those of US shocks. The world oil price shock has become increasingly important in influencing the stability of real output growth in the region. The results from variance decomposition and impulse response analysis confirm the findings. Even though Japanese firms have established production networks in East Asia through trade and investment, and China has also grown rapidly and become a key regional country, the results suggest that US influence in the region is still asymmetric and strong. Therefore, it is difficult to conclude that shocks to the East Asian economies have become more regionally oriented. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-694, 発行日 2009-12 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf694ab.html | |||||
